Blogging Options: CBOE Morning Update

Volatility as an asset class:
Monsanto (MON) is up $2.00 to $76.75 in the premarket on the company seeing Q3 EPS $1.57-$1.62, compared to consensus $1.29. Overall option implied volatility of 31 is near its 26-week average of 30.

Research in Motion (RIMM) is down $1.24 to $9.99 in the premarket on job cuts, a possible loss for the year and the hiring of investment bankers to assist in reviewing its business and financial performance. June put option implied volatility is at 69, July is at 78, August is at 74; compared to its 26-week average of 64.
Facebook (FB) has rallied back to unchanged in the pre-market, after an early drop of 27c was erased. FB fell $3.07 yesterday. Overall option implied volatility is at 56, compared to Groupon’s (GRPN) 26-week average of 57, LinkedIn’s (LNKD) 63 and Pandora’s (P) 64.

Puts with increasing volume at CBOE.
STX 7/21/2012 17 18K contracts

WDC 7/21/2012 26 13K

NFX 1/19/2013 45 8K

UPL 1/19/2013 34 7K

FB 7/21/2012 45 6K Facebook traded about 369 k options contracts on it’s first day of option trading. CBOE and C2 traded ~110k of those contracts. FB put/call ratio was 1.24.

CBOE Volatility Index-VIX closed at 21.03, 10-day moving average is 22.49, 50-day moving average is 18.45.

 U.S. equities are lower in the premarket (S&P futures off 10 points, DJ futures down 100) as the Euro declines on the Spanish and Greece crisis. The Spanish 10-year spiked to 6.72% while the 2-year jumped above 5%. The Italian 10-year rose to 6.03% (5.84% in April). The US 10-year is below 1.68%.